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Model-Free vs. Model-Based Volatility Prediction
16 references·1 citing·28 second hop
Model-Free vs. Model-Based Volatility Prediction (2015)Model-Free vs. Model-Based Volatility Pre…To Explain or to Predict? (2010)To Explain or to Predict?A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The variation of certain speculative prices (1997)The variation of certain spec…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Empirical Model-Building and Response Surfaces. (1988)Empirical Model-Building and …Empirical Model Building and Response Surfaces (1988)Empirical Model Building and …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Science and Statistics (1976)Science and StatisticsThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Théorie de la spéculation (1900)Théorie de la spéculationReal-Time GARCH* (2017)Real-Time GARCH*The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Statistics for Experimenters (1979)Response Surfaces: Designs and Analyses (1997)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Explaining Fixed Effects: Random Effects Modeling of Time-Series Cross-Sectional and Panel Data (2014)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Specification Tests in Econometrics (1978)Common risk factors in the returns on stocks and bonds (1993)An updated and expanded assessment of PLS-SEM in information systems research (2017)When to use and how to report the results of PLS-SEM (2018)Predictive model assessment in PLS-SEM: guidelines for using PLSpredict (2019)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1988Empirical Model Building and Response Surfaces5,235 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2010To Explain or to Predict?2,974 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1976Science and Statistics2,544 cited
  • 1988Empirical Model-Building and Response Surfaces.1,894 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2003Forecasting Volatility in Financial Markets: A Review

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  • 2017Real-Time GARCH*25 cited